Nonparametric Dynamic Panel Data Models with Interactive Fixed Effects: Sieve Estimation and Specification Testing

• Main Authors: SU, Liangjun, ZHANG, Yonghui
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2013
• Subjects: Common factors; Cross section dependence; Interactive fixed effects; Linearity; Nonparametric dynamic panel; Sieve method; Specification test; Econometrics; Economics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1560; https://ink.library.smu.edu.sg/context/soe_research/article/2559/viewcontent/NonparametricDynamic_PanelDataModels_InteractiveFixedEffects_2013_wp.pdf
• Institution: Singapore Management University

In this paper we analyze nonparametric dynamic panel data models with interactive fixed effects, where the predetermined regressors enter the models nonparametrically and the common factors enter the models linearly but with individual specific factor loadings. We consider the issues of estimation a...